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Longer dated Estoxx put fly


Apr'23 SOFR Put Spd


Early US Cash calls

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Post-LIBOR Settle Update: New Benchmark High, Inversions Ebb


Lead quarterly EDU2 extends lower, trades -0.0075 at 96.6325 after latest 3M LIBOR set' climbs +0.02029 to 2.94186% (+0.05486 last wk).

  • New 14-year benchmark high weighing on short end w/ balance of Whites through Reds (EDZ2-EDM4) trade steady to -0.015, Greens through Golds (EDU4-EDM7) +0.010-0.040, Golds outperforming.
  • Interpretation: markets still pricing in 50bp as more likely than 75bp at next FOMC since last Wed's flat July CPI and Thu's lower than exp PPI, a lot of time and data between now and next rate annc on Sep 21. July FOMC minutes released this Wednesday may give additional clarity.
  • In the meantime, inversions continue to gradually unwind: Dec'22/Mar'23 off inversion at +0.015 vs. -0.095 wk ago, replaced by Mar'23/Jun'23 -0.085; calendar spds: EDZ2/EDZ3 at -0.500 vs. -0.715 a week ago, EDH3/EDH4 at -0.715 vs. -0.820. Inversion flattens out in Blues Mar'26/Jun'26 trading flat to +0.005.
  • Restrained FI option volumes reported Friday, with a couple standout Eurodollar option spreads (December deep in-the-money put spd adding to early week trade) and two-way 10Y options flow in addition to a late September 5Y vol sale via 112.25 straddles.

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